Runs on Money Market Mutual Funds

• 成果类型: Article
• 署名作者: Schmidt, Lawrence; Timmermann, Allan; Wermers, Russ
• 署名单位: University of Chicago; University of California System; University of California San Diego; University System of Maryland; University of Maryland College Park
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20140678
• 发表日期: 2016
• 页码: 2625-2657
• 关键词: Bank runs; multiple equilibria; global games; INFORMATION; panics; crises; MODEL

摘要

We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data allows new insights into investor and portfolio holding characteristics conducive to run risk in cash-like asset pools. We find that cross-sectional flow data observed during the week of the Lehman failure are consistent with key implications of a simple model of coordination with incomplete information and strategic complementarities. Similar conclusions follow from daily models fitted to capture dynamic interactions between investors with differing levels of sophistication within the same money fund, holding constant the underlying portfolio.